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On The Spectral Density Matrix Of A Periodic Arma Process

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  • Hideaki Sakai

Abstract

. After reviewing the spectral representation theorems for periodic stationary process, we derive a parametric formula for the spectral density of a periodic ARMA process via a new approach. The equivalence with the existing approach is shown.

Suggested Citation

  • Hideaki Sakai, 1991. "On The Spectral Density Matrix Of A Periodic Arma Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(1), pages 73-82, January.
    • Handle: RePEc:bla:jtsera:v:12:y:1991:i:1:p:73-82
    DOI: 10.1111/j.1467-9892.1991.tb00069.x
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    Cited by:

    1. Hurd, H. & Makagon, A. & Miamee, A. G., 0. "On AR(1) models with periodic and almost periodic coefficients," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 167-185, July.

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